scholarly journals An Empirical Investigation of the Day-of- the-Week Effect on Stock Returns and Volatility: Evidence from Muscat Securities Market

2012 ◽  
Vol 4 (7) ◽  
Author(s):  
Mohamed Khaled Al-Jafari
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Securities Market ◽  
Day Of The Week

Intraday Stock Returns Patterns Revisited. A Day of the Week and Market Trend Approach

2020 ◽  
Author(s):  
Constantina Kottaridi ◽  
Emmanouil Skarmeas ◽  
Vasileios Pappas
Keyword(s):  
Stock Returns ◽  
Day Of The Week

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?

2016 ◽  
Vol 11 (02) ◽  
pp. 1650008
Author(s):  
SWARN CHATTERJEE ◽  
AMY HUBBLE
Keyword(s):  
Stock Returns ◽  
Small Firm ◽  
Economic Cycles ◽  
Trading Decisions ◽  
Portfolio Managers ◽  
Small Investors ◽  
Garch Processes ◽  
Day Of The Week ◽  
Firm Effect ◽  
Daily Returns

This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stock returns were significantly higher on Wednesdays, Thursdays, and Fridays. The day-of-the-week effect on returns of biotechnology stocks remained significant even after controlling for the Fama–French and Carhart factors. Moreover, the results from using the asymmetric generalized autoregressive conditional heteroskedastic (GARCH) processes reveal that momentum and small-firm effect were positively associated with the market risk-adjusted returns of the biotechnology stocks during this period. The findings of our study suggest that active portfolio managers need to consider the day of the week, momentum, and small-firm effect when making trading decisions for biotechnology stocks. Implications for portfolio managers, small investors, scholars, and policymakers are included.

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

2021 ◽  
pp. 031289622110102
Author(s):  
Mousumi Bhattacharya ◽  
Sharad Nath Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
High Frequency ◽  
Jel Classification ◽  
Exogenous Shock ◽  
Intraday Data ◽  
Day Of The Week ◽  
Holiday Effects ◽  
Indian Stock Market ◽  
The Impact

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

scholarly journals An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices

2017 ◽  
Vol 9 (6) ◽  
pp. 57 ◽  
Author(s):  
Nida Shah ◽  
Muhammad Nadeem Qureshi ◽  
Yasra Aslam
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Negative Impact ◽  
Least Square ◽  
Ordinary Least Square ◽  
Regression Methods ◽  
Significant Negative Impact ◽  
Equity Indices ◽  
The Impact ◽  
Global Stock

This study aims to explore the effect of Islamic Months specifically Ramadan and Zil-Haj on the stock returns and volatility of the Islamic Global Equity Indices. For the said purpose, the data on three Global Equity Islamic Indices including; Dow Jones Islamic Market World Index, MSCI ACWI Islamic Index, and S&P Global BMI Shariah Index are collected from 5th Jan 2011 (1st Muharram 1432 A.H.) to 12th November 2015 (30th Muharram 1437 A.H.). Ordinary Least Square (OLS) and GARCH (1,1) regression methods are applied to analyze the impact of the Islamic months on global stock returns and volatility respectively. Empirical results reveal significant negative impact of Zil-Haj on returns and volatility of Islamic Global Equity Indices. However, no significant impact of Ramadan on returns and volatility of Islamic Global Equity Indices are revealed. These findings will be fascinating and of utmost interest amidst the researchers, investors and practitioners.

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